Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

Dreiss Research Corporation's Global Diversified Program is based on the concepts and tools of fractal geometry as developed by founder and President Bill Dreiss. Fractal geometry, when applied to market analysis, subscribes to the theory that market prices exhibit persistent behavior. Mr. Dreiss has developed two proprietary methodologies based on these concepts, the Fractal Wave Algorithm, which is used to identify trends and key turning points, and the Choppiness Index, which is used to determine the degree of trendiness or choppiness in market prices. The system is highly diversified and very long-term in nature. Due to the long-term time horizon, the program can at times experience a relatively high degree of volatility.

Performance Statistics

Date Range: 04/91 - 04/19

Program

S&P 500

Altegris 40

Total Return

4094.91%

1301.03%

374.46%

Annualized Return

14.28%

9.86%

5.70%

Annualized Std. Deviation

30.08%

14.07%

10.85%

Correlation

-0.17

0.60

Sharpe Ratio (rf=2.5%)

0.39

0.52

0.30

Worst Month

-22.81%

-16.79%

-8.16%

Date of Worst Month

10/2015

10/2008

01/1992

Worst Drawdown

-51.44%

-50.95%

-15.74%

Date of Worst Drawdown

4/11 - 10/12

10/07 - 2/09

4/11 - 9/13

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/91 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

6.78

18.24

5.17

2018

-9.54

-4.38

-4.29

2017

-10.15

21.84

1.24

2016

16.20

11.98

-3.13

2015

5.17

1.41

0.09

2014

85.89

13.69

15.75

2013

18.27

32.41

-2.45

2012

-35.66

15.98

-4.75

2011

-3.78

2.12

-3.23

2010

21.12

15.06

11.33

2009

-1.14

26.45

-7.98

2008

140.62

-36.99

15.47

2007

1.16

5.50

7.18

2006

43.11

15.79

6.70

2005

31.12

4.89

4.51

2004

-8.98

10.87

2.57

2003

19.28

28.69

15.99

2002

22.40

-22.10

15.22

2001

-7.92

-11.88

5.39

2000

21.66

-9.09

10.63

1999

-0.40

21.04

0.87

1998

22.87

28.58

12.61

1997

-22.66

33.38

10.22

1996

26.84

22.96

16.04

1995

59.77

37.57

13.16

1994

38.08

1.32

-5.46

1993

36.26

10.08

14.66

1992

-8.02

7.65

0.89

1991

7.54

13.65

15.45

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 04/91 - 04/19

Note: All performance data is since program inception.

Monthly Returns

Date Range: 04/91 - 04/19

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 04/91 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Date Range: 04/91 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:

Dreiss Research Corporation

Address:

47 Colony Park Circle

City:

Galveston

State:

HI

Zip:

77551

Country:

USA

Key People

Name:

Edward William Dreiss

Position:

Principal

Biography:

Edward William Dreiss graduated from the Massachusetts Institute of Technology in 1964 with a Bachelor of Science in electrical engineering. In 1966 he received an MBA from Harvard Business School, with a concentration in Bayesian decision theory. He worked for several years after graduation in mathematical and financial modeling, specializing in game theory. During this time he became interested in commodity futures, using pattern recognition and Fourier analysis to explore the markets. In 1973, after five years of research into technical trading systems for commodities, he took a position with E.F. Hutton & Co. in San Francisco as a commodity broker. In 1975, he left to become a principal of and the chief trader for Commodity Consultants, Inc., one of the first firms to manage large amounts of risk capital using mechanical trading methods. In 1976, Mr. Dreiss established San Miguel Associates, of which he is President and sole shareholder. From 1976 to 1984, San Miguel Associates was an active Commodity Trading Advisor managing commodity accounts marketed through major brokerage firms. In 1984, Mr. Dreiss turned his attention to computer consulting and commercial software development, while continuing to trade commodities for his own account. Mr. Dreiss is one of the pioneers of the commodity managed account industry and is responsible for a number of technological innovations related to trading managed commodity accounts. He was the first Commodity Trading Advisor to balance diversified portfolios on the basis of expected risk per trade and originated the concept of trading a short term system only in the direction of the longer term trend. He has continued his research into innovative approaches to commodity trading, including original research on artificial intelligence and the development of an expert systems shell which uses a Holland classifier as the decision engine. He is currently involved in the refinement of trading methods based on his research on the application of fractal geometry to market analysis. This work has led to the development of mechanical systems based on pure pattern recognition and the formulation of the Choppiness Index, a unique indicator which attempts to distinguish orderly (trending) from choppy (consolidating) markets without regard to market direction.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.